Anyone here know how to use Audacity, or how to record music that's playing on pc?

I have a program called Audacity that I thought could record a song that's playing on the computer. Better explained, I thought that you could play any "sound" on your computer, and the progam would record that sound. I can't figure out how to do this at all. Any help is appreciated. I'm open to trying new programs as well!

In Audacity at the top there is/should be a drop menu
Look for a microphone image and a slider next to it, after that will be the drop menu. Just select the source you need; "What U Hear", Wave, Wave/MP3, Sound Out, it should have one if not more of these.

This is the same as going to the Sound controls on the Recording set of sliders and changing it to which ever you want.